Zobrazeno 1 - 10
of 34
pro vyhledávání: '"Masiello, Esterina"'
The generalized gamma convolutions class of distributions appeared in Thorin's work while looking for the infinite divisibility of the log-Normal and Pareto distributions. Although these distributions have been extensively studied in the univariate c
Externí odkaz:
http://arxiv.org/abs/2103.03200
We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators. While the patchwork structure im
Externí odkaz:
http://arxiv.org/abs/2005.02912
Publikováno v:
In Journal of Multivariate Analysis September 2021 185
Publikováno v:
In Insurance Mathematics and Economics 2009 44(2):170-181
Publikováno v:
Communications in Statistics-Theory and Methods
Communications in Statistics-Theory and Methods, Taylor & Francis, 2019
Communications in Statistics-Theory and Methods, Taylor & Francis, 2019
International audience; Estimating high level quantiles of aggregated variables (mainly sums or weighted sums) is crucial in risk management for many application fields such as finance, insurance, environment... This question has been widely treated
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::75030cc32abeadd6839128272ccff09f
https://hal.archives-ouvertes.fr/hal-01201838v2/document
https://hal.archives-ouvertes.fr/hal-01201838v2/document
Autor:
Masiello, Esterina1 (AUTHOR) esterina.masiello@univ-lyon1.fr
Publikováno v:
Scandinavian Actuarial Journal. Jul2014, Vol. 2014 Issue 4, p283-308. 26p.
In this paper we obtain asymptotics for ruin probability in a risk model where claim size distribution as well as claim frequency change over time. This is a way to take into account observed and/or projected changes, due to climate change, in some s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::995c691cd5e3713eb9b0f9c57e0916dc
https://hal.archives-ouvertes.fr/hal-01218442
https://hal.archives-ouvertes.fr/hal-01218442
Autor:
Conti, Pier1 pierluigi.conti@uniroma1.it, Masiello, Esterina2 esterina.masiello@univ-lyon1.fr
Publikováno v:
Extremes. Dec2010, Vol. 13 Issue 4, p439-461. 23p.
Publikováno v:
Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance
Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance, Feb 2015, Bruxelles, Belgium. 2015, Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance, 978 90 6569 1 50 7
Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance, Feb 2015, Bruxelles, Belgium. 2015, Actuarial and Financial Mathematics Conference Interplay between Finance and Insurance, 978 90 6569 1 50 7
International audience; Estimating high level quantiles of aggregated variables (mainly sums or weighted sums) is crucial in risk management for many application fields such as finance, insurance, environment. . . . This question has been widely trea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::1ca37ef3f2c142d37bbded2e0216d453
https://hal.archives-ouvertes.fr/hal-01291007
https://hal.archives-ouvertes.fr/hal-01291007